SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 22:31

Buy / Sell

Buy

Quantity

50

Arrival Price

70.5750

Average Total

70.6046

Destination Price

70.6050

Slippage

0.0296

Slippage Sweep

0.0072

Sweep to Fill

70.5974

Algo Diagnostics

{ "customState": { "seconds_spent": { "asDouble": 599 }, "total_vol": { "asDouble": 0.7388128667360865 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.090000000000245 }, "arrival_price": { "asDouble": 70.57499999999999 }, "avg_total": { "asDouble": 70.60460000000003 }, "daily_vol_normal": { "asDouble": 0.6807632785404224 }, "total_drift": { "asDouble": -0.1898251698754224 }, "slippage_sweep": { "asDouble": 0.007200000000040063 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 26 }, "sweep_to_fill": { "asDouble": 70.5974 }, "init_half_min_move": { "asDouble": 0.007767178215619861 }, "init_vol_normal": { "asDouble": 0.7388128667360866 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 8.317053528572611 }, "init_liq_cost": { "asDouble": 1.1200000000002461 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007156899866176703 }, "curr_cost_per_share": { "asDouble": 0.0218000000000049 }, "init_cost_per_share": { "asDouble": 0.022400000000004923 }, "curr_opt_t_minutes": { "asDouble": 9.452817119088147 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.0296000000000447 }, "drift": { "asDouble": -0.0004096120483689976 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.60499999999999 }, "total_dollar": { "asDouble": 3530.2300000000014 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2023-07-02T22:21:25.276","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.60000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:30.498","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.61,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:49.477","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.60000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.288","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.288","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.288","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.288","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.289","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.289","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.289","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.289","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:19.289","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:41.396","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.57000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:41.396","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.57000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:41.397","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.57000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:41.397","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.57000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:23:41.409","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.57000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:25:05.377","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:25:05.377","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:25:05.378","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:25:05.378","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:25:05.378","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:26:23.502","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:26:23.502","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:31:11.598","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.61,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:31:11.598","Security":"SIM:CLQ3","Side":"Buy","LastShares":12.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:31:11.598","Security":"SIM:CLQ3","Side":"Buy","LastShares":10.0,"LastPrice":70.63,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:31:11.625","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.61,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.575<br />avg_total: 70.6046<br />curr_cost_per_share: 0.021800000000005<br />curr_half_min_move: 0.0071568998661767<br />curr_liq_cost: 1.0900000000002<br />curr_opt_t_minutes: 9.4528171190881<br />daily_vol_normal: 0.68076327854042<br />destination_price: 70.605<br />drift: -0.000409612048369<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.022400000000005<br />init_drift: 0<br />init_half_min_move: 0.0077671782156199<br />init_liq_cost: 1.1200000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 8.3170535285726<br />init_vol_normal: 0.73881286673609<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 26<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 599<br />slip_toler: 0<br />slippage: 0.029600000000045<br />slippage_sweep: 0.0072000000000401<br />sweep_residual: 0<br />sweep_to_fill: 70.5974<br />total_dollar: 3530.23<br />total_drift: -0.18982516987542<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73881286673609<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.575<br />avg_total: 70.6046<br />destination_price: 70.605<br />market_vwap: <br />n_kids: 25<br />slippage: 0.029600000000045<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3530.23<br />total_filled: 50<br />total_sent: 50

Computed Fills Array AP

<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2023-07-02T22:21:25.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:30.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:49.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:25:05.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:26:23.502</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:26:23.502</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:31:11.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.61</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:31:11.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>12</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:31:11.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>10</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:31:11.625</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.61</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Fills Array VWAP

<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2023-07-02T22:21:25.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:30.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:49.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:19.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:23:41.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:25:05.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:25:05.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:26:23.502</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:26:23.502</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:31:11.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.61</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:31:11.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>12</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:31:11.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>10</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:31:11.625</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.61</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.60

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

599.00

Computed Volatility

0.68